It has long been thought that he commited suicide by shooting himself. However, in October 2011 a new biography came out that suggested a different theory.

This biography, by Stephen Naifeh and Gregory White Smith, claims that in fact Van Gogh was killed, almost certainly by accident, by one of two local boys who were fond of pretending to be cowboys. He knew the boys quite well and it may be that he preferred to protect them from blame by claiming that he had killed himself. His deathbed words were 'It is I who have killed myself', which could perhaps be taken to mean 'I take responsibility'. It seems that one of the boys hinted later at an accident, though he never actually confessed to the killing, and the position of the bullet could suggest that the artist was shot by someone else.

You can learn more about this theory here.